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Stochastic Calculus of Variations in Mathematical Finance

Publisher:

Springer Verlag

Number of Pages:

142

Price:

59.95

ISBN:

3-540-43431-3

This book deals with applications of the Malliavin calculus to finance problems. It is rather technical and is written in a theorem-proof style, so it would be best suited for graduate students and researchers. It is a research book more than anything else. The main aim of the book is to give the results of Malliavin calculus which are applied in finance in form of theorems with detailed proofs. The first couple of chapters are considered as prerequisities, while the rest can be read independently.

Ita Cirovic Donev is a PhD candidate at the University of Zagreb. She hold a Masters degree in statistics from Rice University. Her main research areas are in mathematical finance; more precisely, statistical mehods of credit and market risk. Apart from the academic work she does consulting work for financial institutions.